Risk-averse feasible policies for large-scale multistage stochastic linear programs

DOI10.1007/s10107-012-0592-1zbMath1266.90135MaRDI QIDQ1949267

Yanyan Li

Publication date: 6 May 2013

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-012-0592-1

zbMATH Keywords

stochastic programming; dynamic programming; chance constraints; CVaR; interstage dependence

Mathematics Subject Classification ID

90C15: Stochastic programming

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